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3.0

Jun 30, 2018
06/18

by
Annika Betken

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We propose a testing procedure based on the Wilcoxon two-sample test statistic in order to test for change-points in the mean of long-range dependent data. We show that the corresponding self-normalized test statistic converges in distribution to a non-degenerate limit under the hypothesis that no change occurred and that it diverges to infinity under the alternative of a change-point with constant height. Furthermore, we derive the asymptotic distribution of the self-normalized Wilcoxon test...

Topics: Mathematics, Statistics Theory, Statistics

Source: http://arxiv.org/abs/1403.0265

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16

Apr 5, 2013
04/13

by
Shakespeare, William, 1564-1616; Betken, William T., 1924-

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Bibliography: p. 279-284

Topics: Triangles (Interpersonal relations), Exiles

4
4.0

Jun 29, 2018
06/18

by
Annika Betken

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We consider an estimator for the location of a shift in the mean of long-range dependent sequences. The estimation is based on the two-sample Wilcoxon statistic. Consistency and the rate of convergence for the estimated change point are established. In the case of a constant shift height, the $1/n$ convergence rate (with $n$ denoting the number of observations), which is typical under the assumption of independent observations, is also achieved for long memory sequences. It is proved that if...

Topics: Statistics, Statistics Theory, Mathematics

Source: http://arxiv.org/abs/1612.08261

10
10.0

Jun 28, 2018
06/18

by
Annika Betken; Martin Wendler

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In the statistical inference for long range dependent time series the shape of the limit distribution typically depends on unknown parameters. Therefore, we propose to use subsampling. We show the validity of subsampling for general statistics and long range dependent subordinated Gaussian processes which satisfy mild regularity conditions. We apply our method to a self-normalized change-point test statistic so that we can test for structural breaks in long range dependent time series without...

Topics: Statistics, Statistics Theory, Mathematics

Source: http://arxiv.org/abs/1509.05720